中国股市一期价格行为研究

A STUDY ON THE ONE LAG PRICE BEHAVIOUR OF CHINA STOCK MARKET

本文运用 CJ统计量与一步 Markov转移概率矩阵研究了中国沪、深两市的一期价格行为 .实证结果表明 :大约自 1997年以来 ,一期价格行为表现出很强的随机性 .

This paper studies the one lag price behaviour of shanghai and shenzhen stock market applying the CJ statistic and the one step Markov transfer probability matrix.It is found that since about 1997,there is strong stochastic behaviour of the one lag price behaviour.